vn.py
commit
f755611607
1
.gitignore
vendored
1
.gitignore
vendored
@ -14,6 +14,7 @@ Release/
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# Python编译文件
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*.pyc
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*.pyd
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# WingIDE文件
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*.wpr
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@ -13,7 +13,8 @@ ibpy的gateway接入
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import os
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import json
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from time import sleep, strftime, localtime
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import calendar
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from datetime import datetime, timedelta
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from copy import copy
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from PyQt4 import QtGui, QtCore
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@ -45,6 +46,7 @@ directionMapReverse['SLD'] = DIRECTION_SHORT
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# 交易所类型映射
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exchangeMap = {}
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exchangeMap[EXCHANGE_SMART] = 'SMART'
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exchangeMap[EXCHANGE_NYMEX] = 'NYMEX'
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exchangeMap[EXCHANGE_GLOBEX] = 'GLOBEX'
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exchangeMap[EXCHANGE_IDEALPRO] = 'IDEALPRO'
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exchangeMapReverse = {v:k for k,v in exchangeMap.items()}
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@ -181,15 +183,26 @@ class IbGateway(VtGateway):
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contract.m_expiry = subscribeReq.expiry
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contract.m_strike = subscribeReq.strikePrice
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contract.m_right = optionTypeMap.get(subscribeReq.optionType, '')
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if contract.m_secType == 'FUT' and not subscribeReq.expiry:
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# 期货 如果没有设置过期时间, 默认设置为下个月
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dt_obj = datetime.now()
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days = calendar.monthrange(dt_obj.year, dt_obj.month)[1]
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nextMonth = dt_obj + timedelta(days=(days - dt_obj.day + 1))
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contract.m_expiry = nextMonth.strftime('%Y%m')
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self.connection.reqMktData(self.tickerId, contract, '', False)
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# 获取合约详细信息
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self.connection.reqContractDetails(self.tickerId, contract)
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# 创建Tick对象并保存到字典中
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tick = VtTickData()
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tick.symbol = subscribeReq.symbol
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tick.exchange = subscribeReq.exchange
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tick.vtSymbol = '.'.join([tick.symbol, tick.exchange])
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tick.gatewayName = self.gatewayName
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tick.__setattr__('m_secType', productClassMap.get(subscribeReq.productClass, ''))
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self.tickDict[self.tickerId] = tick
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#----------------------------------------------------------------------
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@ -278,6 +291,13 @@ class IbWrapper(EWrapper):
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tick = self.tickDict[tickerId]
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key = tickFieldMap[field]
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tick.__setattr__(key, price)
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# 外汇单独设置时间, tickString 没有返回外汇时间
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if tick.m_secType == 'CASH':
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dt_obj = datetime.now()
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tick.time = dt_obj.strftime('%H:%M:%S.%f')
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tick.date = dt_obj.strftime('%Y%m%d')
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# 行情数据更新
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newtick = copy(tick)
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self.gateway.onTick(newtick)
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@ -290,7 +310,17 @@ class IbWrapper(EWrapper):
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if field in tickFieldMap:
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tick = self.tickDict[tickerId]
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key = tickFieldMap[field]
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tick.__setattr__(key, size)
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tick.__setattr__(key, size)
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# 外汇单独设置时间, tickString 没有返回外汇时间
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if tick.m_secType == 'CASH':
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dt_obj = datetime.now()
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tick.time = dt_obj.strftime('%H:%M:%S.%f')
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tick.date = dt_obj.strftime('%Y%m%d')
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# 行情数据更新
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newtick = copy(tick)
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self.gateway.onTick(newtick)
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else:
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print field
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@ -307,12 +337,12 @@ class IbWrapper(EWrapper):
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#----------------------------------------------------------------------
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def tickString(self, tickerId, tickType, value):
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"""行情推送，特殊字段相关"""
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if tickType == 45:
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lt = localtime(int(value))
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if tickType == 45:
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dt_obj = datetime.fromtimestamp(int(value))
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tick = self.tickDict[tickerId]
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tick.time = strftime('%H:%M:%S', lt)
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tick.date = strftime('%Y%m%d')
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tick.time = dt_obj.strftime('%H:%M:%S.%f')
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tick.date = dt_obj.strftime('%Y%m%d')
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# 这里使用copy的目的是为了保证推送到事件系统中的对象
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# 不会被当前的API线程修改，否则可能出现多线程数据同步错误
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@ -429,17 +459,40 @@ class IbWrapper(EWrapper):
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#----------------------------------------------------------------------
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def contractDetails(self, reqId, contractDetails):
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""" generated source for method contractDetails """
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pass
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"""合约查询回报"""
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contract = VtContractData()
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contract.gatewayName = self.gatewayName
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contract.symbol = contractDetails.m_summary.m_symbol
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contract.exchange = contractDetails.m_summary.m_exchange
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contract.vtSymbol = '.'.join([contract.symbol, contract.exchange])
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contract.name = contractDetails.m_summary.m_localSymbol.decode('UTF-8')
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# 合约类型
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if contractDetails.m_summary.m_secType == 'STK':
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contract.productClass = PRODUCT_EQUITY
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elif contractDetails.m_summary.m_secType == 'CASH':
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contract.productClass = PRODUCT_FOREX
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elif contractDetails.m_summary.m_secType == 'FUT':
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contract.productClass = PRODUCT_FUTURES
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elif contractDetails.m_summary.m_secType == 'OPT':
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contract.productClass = PRODUCT_OPTION
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else:
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contract.productClass = PRODUCT_UNKNOWN
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# 推送
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self.gateway.onContract(contract)
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#----------------------------------------------------------------------
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def bondContractDetails(self, reqId, contractDetails):
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""" generated source for method bondContractDetails """
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#----------------------------------------------------------------------
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def contractDetailsEnd(self, reqId):
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""" generated source for method contractDetailsEnd """
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pass
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""" 获取合约结束 """
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'交易合约信息获取完成'
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self.gateway.onLog(log)
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#----------------------------------------------------------------------
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def execDetails(self, reqId, contract, execution):
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@ -519,14 +572,15 @@ class IbWrapper(EWrapper):
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#----------------------------------------------------------------------
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def currentTime(self, time):
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""" generated source for method currentTime """
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t = strftime('%H:%M:%S', localtime(time))
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dt_obj = datetime.fromtimestamp(time)
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t = dt_obj.strftime("%Y-%m-%d %H:%M:%S.%f")
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self.connectionStatus = True
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self.gateway.connected = True
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = (u'IB接口连接成功，当前服务器时间%s' %t)
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log.logContent = (u'IB接口连接成功，当前服务器时间 %s' %t)
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self.gateway.onLog(log)
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#----------------------------------------------------------------------
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@ -641,6 +641,7 @@ class TradingWidget(QtGui.QFrame):
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EXCHANGE_SGE,
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EXCHANGE_HKEX,
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EXCHANGE_SMART,
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EXCHANGE_NYMEX,
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EXCHANGE_GLOBEX,
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EXCHANGE_IDEALPRO]
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@ -64,6 +64,7 @@ EXCHANGE_NONE = '' # 空交易所
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EXCHANGE_HKEX = 'HKEX' # 港交所
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EXCHANGE_SMART = 'SMART' # IB智能路由（股票、期权）
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EXCHANGE_NYMEX = 'NYMEX' # IB 期货
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EXCHANGE_GLOBEX = 'GLOBEX' # CME电子交易平台
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EXCHANGE_IDEALPRO = 'IDEALPRO' # IB外汇ECN
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